A Test for Volatility Spillovers

Posted: 5 Dec 2004

See all articles by Fabio Spagnolo

Fabio Spagnolo

Brunel University London - Economics and Finance

Martín Sola

Universidad Torcuato Di Tella; University of London - Economics, Mathematics and Statistics

Nicola Spagnolo

Brunel University London - Economics and Finance

Abstract

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed.

Keywords: Markov switching, GARCH, volatility, financial crises

JEL Classification: C32, G15

Suggested Citation

Spagnolo, Fabio and Sola, Martín and Spagnolo, Nicola, A Test for Volatility Spillovers. Economics Letters, Vol. 76, pp. 77-84, 2002. Available at SSRN: https://ssrn.com/abstract=626845

Fabio Spagnolo (Contact Author)

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom
+44 1895 816383 (Phone)
+44 1895 203303 (Fax)

HOME PAGE: http://www.brunel.ac.uk/depts/ecf/Staff/SpagnoloF/Main.htm

Martín Sola

Universidad Torcuato Di Tella ( email )

Minones 2159
1428 Buenos Aires, 1428
Argentina
5411 4784 0080 (Phone)
5411 4784 9807 (Fax)

University of London - Economics, Mathematics and Statistics ( email )

Malet Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6411 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/sola/

Nicola Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

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